I remember in college doing a comparison of the narrative structure to Frankenstein, which also has several levels of narration from the creature telling his story to Victor who tells it to some guy on a polar expedition who tells it to the reader.
It’s been a while since I read it, but IIRC it adds authenticity. The explorer seems to be meticulously honest, so you trust him, but Frankenstein is raving – yet he feels such revulsion toward his creation that the emotional complexity of the creature’s story is that much more believable, because if Victor were lying, he’d make the creature sound worse. And the explorer still isn’t sure whether to believe the story until he meets the creature himself at the end.